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Value-at-risk for long and short trading positions: Evidence from developed and emerging equity markets

✍ Scribed by Panayiotis F. Diamandis; Anastassios A. Drakos; Georgios P. Kouretas; Leonidas Zarangas

Book ID
116577450
Publisher
Elsevier Science
Year
2011
Tongue
English
Weight
282 KB
Volume
20
Category
Article
ISSN
1057-5219

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Value-at-risk for long and short trading
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## Abstract In this paper we model Value‐at‐Risk (VaR) for daily asset returns using a collection of parametric univariate and multivariate models of the ARCH class based on the skewed Student distribution. We show that models that rely on a symmetric density distribution for the error term underpe